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利用终止行动识别具有双曲贴现的动态离散选择模型AI 解读

We study the identification of dynamic discrete choice models with hyperbolic discounting using a terminating action. We provide novel identification results for both sophisticated and naive agents’ discount factors and their utilities in a finite horizon framework under the assumption of a stationary flow utility. In contrast to existing identification strategies we do not require to observe the final period for the sophisticated agent. Moreover, we avoid normalizing the…

利用两个次序统计量进行反卷积AI 解读

Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The identification result confirms a hypothesis by Athey and Haile (2002) for a symmetric ascending auction model with unobserved heterogeneity. Extensions allow for heterogeneous measurement…

利用次序统计量识别拍卖模型AI 解读

Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this gap by providing a set of positive identification results. First, we show that symmetric auctions with discrete unobserved heterogeneity are identifiable using two consecutive order statistics and an instrument. Second, we extend the results…

含不可观测异质性与多重均衡的动态博弈识别AI 解读

This paper provides sufficient conditions for nonparametrically identifying dynamic games with incomplete information, allowing for multiple equilibria and payoff-relevant unobservables. Our identification involves two steps. We first identify the equilibrium conditional choice probabilities and state transitions using the Markov property and four-period data. The first step of our identification relies on eigenvalue-eigenvector decomposition, and thus incurs the same issue…

非参数非经典测量误差方法下的代际流动弹性估计AI 解读

This article provides a framework for estimating intergenerational mobility elasticities (IGEs) of children’s income with respect to parental income. We allow the IGEs to be heterogeneous, by leaving the relationship of parental and child incomes unspecified, while acknowledging and addressing the latent nature of both child and parental permanent incomes and the resulted life-cycle bias. Our framework enables us to test the widely imposed assumption that the…

主观预期下的动态决策：结构分析AI 解读

We study dynamic discrete choice models without assuming rational expectations. Agents’ beliefs about state transitions are subjective, unknown, and may differ from their objective counterparts. We show that agents’ preferences and subjective beliefs are identified in both finite and infinite horizon models. We estimate the model primitives via maximum likelihood estimation and demonstrate the good performance of the estimator by Monte Carlo experiments. Using the Panel…

存在多重均衡的不完全信息博弈：识别与估计AI 解读

In games, the multiplicity of equilibria poses a challenge for identification and estimation. The existing literature typically abstracts from this multiplicity by assuming that the data are generated from a single equilibrium. Instead of imposing such restrictions, this paper provides sufficient conditions to non-parametrically identify payoff primitives in finite action games with incomplete information, while allowing for multiple equilibria. I then propose a two-step…